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Estatística
Título: A APPLICABILITY OF THE SIZE RISK PREMIUM FOR ESTIMATION OF COST OF EQUITY IN REGULATED MARKETS: A CASE STUDY OF THE BRAZILIAN TRANSPORTER GASODUTO BOLÍVIA-BRASIL
Autor: LEONARDO ALVES DA SILVEIRA
Colaborador(es): GRAZIELA XAVIER FORTUNATO - Orientador
Catalogação: 21/FEV/2020 Língua(s): PORTUGUESE - BRAZIL
Tipo: TEXT Subtipo: THESIS
Notas: [pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio.
[en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio.
Referência(s): [pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=46943&idi=1
[en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=46943&idi=2
DOI: https://doi.org/10.17771/PUCRio.acad.46943
Resumo:
The purpose of this study is to analyze the divergence observed regarding the applicability of the size risk premium, between the proposal presented by TBG - Brazilian Transporter Gasoduto Bolívia-Brasil and the response of ANP - National Petroleum Agency, in the estimation of the cost of equity that will define the maximum rate for the transport of natural gas to the regulated company. Both TBG and ANP adopted the Capital Asset Price Model (CAPM) model, however, TBG proposal considered the size risk premium while ANP response did not accept the inclusion of this premium as stated in technical note no. 007/2018-SIM of July 16, 2018. To analyze this divergence was used the Fama and French three factor model (1993) that considers, besides the systematic risk adopted in the CAPM, the factors size and B/M (book-to-market) index for measuring the cost of equity. The results obtained, based on Fama and French three factors model (1993), do not indicate the applicability of the size risk premium for estimative of the cost of equity in the regulated natural gas transportation market, since the small minus big (SMB) and high minus low (HML) factor s coefficients did not present statistical significant results for some of the analyzed portfolios. In addition, smaller and high B/M companies presented, between July 2009 and June 2018, lower average returns than bigger and low B/M companies, not evidencing the existence of size and value risk premiums.
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